Spillover dynamics for systemic risk measurement using spatial financial time series models
Francisco Blasques, Siem Jan Koopman, Andre Lucas, Julia Schaumburg
| Year of publication: |
December 2016
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| Authors: | Blasques, Francisco ; Koopman, Siem Jan ; Lucas, André ; Schaumburg, Julia |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 195.2016, 2, p. 211-223
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| Subject: | Spatial correlation | Time-varying parameters | Systemic risk | European debt crisis | Generalized autoregressive scores | Zeitreihenanalyse | Time series analysis | Systemrisiko | Korrelation | Correlation | Spillover-Effekt | Spillover effect | Finanzkrise | Financial crisis | Theorie | Theory | Schätzung | Estimation | Finanzmarkt | Financial market | Räumliche Interaktion | Spatial interaction |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.09.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011705251